Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0106
Annualized Std Dev 0.2069
Annualized Sharpe (Rf=0%) 0.0513

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1463
Quartile 1 -0.0042
Median 0.0008
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0057
Maximum 0.1309
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0130
Skewness -1.1433
Kurtosis 19.3720

Downside Risk

Close
Semi Deviation 0.0100
Gain Deviation 0.0087
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0143
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.7230
Historical VaR (95%) -0.0186
Historical ES (95%) -0.0338
Modified VaR (95%) -0.0201
Modified ES (95%) -0.0456
From Trough To Depth Length To Trough Recovery
2000-11-09 2009-03-09 NA -0.7230 5121 2091 NA
2000-03-24 2000-05-26 2000-08-28 -0.1000 109 45 64
2000-01-20 2000-02-01 2000-03-21 -0.0952 43 9 34
1999-11-10 1999-11-10 1999-12-28 -0.0822 33 1 32
1999-08-26 1999-09-29 1999-11-03 -0.0768 49 24 25

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.2 -0.2 -1 0 0.4 0.8 -0.4 0.2 0 0.7 0 0.5 1.2
2000 -0.3 0 -1.4 0.5 0.5 0.3 0 0.3 0.8 1.4 0.7 -1.7 0.9
2001 -0.6 0.1 1.3 0.4 0 -1.3 0.4 0.4 1.4 1.4 0.4 0.2 4.2
2002 0 1.4 -0.6 0.2 0.7 -1.6 -3.1 1.3 2.4 1.3 0.1 -0.1 1.9
2003 1.1 -0.1 1 -0.3 1.7 -0.1 -1.1 0.7 1.4 0 0.6 0.4 5.3
2004 0.4 1.4 0.7 -0.7 0.3 -0.6 0.6 0.6 1.7 0.1 0.9 0.1 5.4
2005 0.5 0.2 -0.8 0.8 0.7 0.2 0.4 0.3 0.1 0 1.3 -0.4 3.3
2006 0.6 1 0 0.1 0.8 -0.1 -0.6 0.7 -0.2 0.9 -0.5 -0.1 2.5
2007 0.3 -0.2 -0.2 -0.2 0.6 -0.3 0 1.5 1.2 -1.2 0.9 1.8 4.3
2008 1.8 -2.2 3.6 1.3 0.3 -0.3 -0.1 -1.3 -1.1 1.3 -3.4 2.1 1.8
2009 -3.1 -1.3 1.6 1.3 3.4 1 0.5 -1.4 -1.4 -3.9 1.1 -0.2 -2.6
2010 1.6 1.1 0.5 -1.1 -0.8 -0.6 0 3.1 0.3 0.2 1.9 0.1 6.5
2011 1.7 -0.8 0.6 0.7 -2.2 1.5 0.1 -0.5 -2.2 -2.6 0.5 -0.1 -3.2
2012 1.8 0.5 0.7 0.2 -2.6 2.4 -0.4 0.3 0.6 1.6 0.4 1.5 7
2013 1.5 0.1 0 -1.2 -1.2 -0.2 1 -0.5 0.7 -0.4 0.2 -0.1 0
2014 -0.3 0.5 0.5 0 0.4 1 -0.4 0.1 -1.5 0.9 -1.4 -0.7 -0.9
2015 -1.6 0.1 -0.7 0.9 0.1 0.6 0.1 -2.5 0.4 -0.8 0.5 -0.3 -3.3
2016 0 2.1 0.3 -0.5 -0.3 0.9 -0.4 0.1 0.6 -0.3 -0.1 0 2.3
2017 0.8 1 0.1 0.2 1 0.1 0.1 0.5 0.8 0.3 -0.4 0.1 4.7
2018 0.2 -1.2 1.6 -0.9 1 0.3 0 0 0.4 1.2 1.2 1.2 4.9
2019 0.6 0.4 0.9 -0.5 -0.5 1 -0.8 0.1 -1 0.9 0.6 -1.3 0.4
2020 -1.2 -3.8 -4.8 -2.7 0.8 0.6 -0.1 0 1.2 -1.5 1.6 0.1 -9.5
2021 1.3 1.3 0.1 NA NA NA NA NA NA NA NA NA 2.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  31   SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  31.8 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  31.6 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  31.6 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  31.5 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  31.4 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart